Related papers: A Note on Real-World and Risk-Neutral Dynamics for…
In this paper, we study a class of one-dimensional stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H>\ff 1 2$. The drift term of the equation is locally Lipschitz and unbounded in the…
We derive a general multivariate theory for realised characteristics of `model-free discretisation-invariant swaps', so-called because the standard no-arbitrage assumption of martingale forward prices is sufficient to derive fair-value swap…
We present a general theory of stochastic model reduction which is based on a normal form coordinate transform method of A.J. Roberts. This nonlinear, stochastic projection allows for the deterministic and stochastic dynamics to interact…
We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…
We consider a novel use case for the Double Heston model (Christoffersen et al,, 2009), where the two Heston sub-variances have different spot/volatility correlations but the same volatility of volatility and mean reversion speed. This…
We propose a system of differential equations modeling the competition between two obligate mutualistic species for a single nutrient in a chemostat. Each species promotes the growth of the other, and growth occurs only in the presence of…
We introduce a price impact model which accounts for finite market depth, tightness and resilience. Its coupled bid- and ask-price dynamics induce convex liquidity costs. We provide existence of an optimal solution to the classical problem…
Stochastic differential games are considered in a non-Markovian setting. Typically, in stochastic differential games the modulating process of the diffusion equation describing the state flow is taken to be Markovian. Then Nash equilibria…
We consider a dynamic market model where buyers and sellers submit limit orders. If at a given moment in time, the buyer is unable to complete his entire order due to the shortage of sell orders at the required limit price, the unmatched…
We study the problem of dynamically trading a futures contract and its underlying asset under a stochastic basis model. The basis evolution is modeled by a stopped scaled Brownian bridge to account for non-convergence of the basis at…
In this paper, we consider risk-sensitive discounted control problem for continuous-time jump Markov processes taking values in general state space. The transition rates of underlying continuous-time jump Markov processes and the cost rates…
The critical dynamics of conformal field theories on random surfaces is investigated beyond the previously studied dynamics of the overall area and the genus. It is found that the evolution of the order parameter in physical time performs a…
Hybrid dynamical systems with nonlinear dynamics are one of the most general modeling tools for representing robotic systems, especially contact-rich systems. However, providing guarantees regarding the safety or performance of nonlinear…
A new space-time model for interacting agents on the financial market is presented. It is a combination of the Curie-Weiss model and a space-time model introduced by J\"arpe 2005. Properties of the model are derived with focus on the…
This paper develops a continuous-time filtering framework for estimating a hazard rate subject to an unobservable change-point. This framework naturally arises in both financial and insurance applications, where the default intensity of a…
Throughout this paper, we focused our aim on the problem of optimal control under a risk-sensitive performance functional, where the system is given by a fully coupled forward-backward stochastic differential equation with jump. The risk…
Hamilton-Jacobi reachability (HJR) is an exciting framework used for control of safety-critical systems with nonlinear and possibly uncertain dynamics. However, HJR suffers from the curse of dimensionality, with computation times growing…
Global dynamics of nonautonomous diffusive Hindmarsh-Rose equations on a three-dimensional bounded domain in neurodynamics is investigated. The existence of a pullback attractor is proved through uniform estimates showing the pullback…
Economic and financial models -- such as vector autoregressions, local projections, and multivariate volatility models -- feature complex dynamic interactions and spillovers across many time series. These models can be integrated into a…
Stability and safety are critical properties for successful deployment of automatic control systems. As a motivating example, consider autonomous mobile robot navigation in a complex environment. A control design that generalizes to…